http://quantlib.414.s1.nabble.com/Problem-with-ZeroInflationIndex-and-fixings-tp14257p14268.html
by the need to store flat fixings). Does the test suite still run
> Hi all,
> I found a bug, or better, a missing piece of implementation in class QuantLib::InflationIndex and/or ZeroInflationIndex (the latter is derived from the former; there's also YoYInflationIndex, it probably shares the same problem but I haven't looked at it yet).
>
> I'm tracking the R01020x svn branch, so if this has already been fixed in trunk, please forgive me AND backport the patch.
>
> As you know, inflation indices are published monthly, then inflation revaluation coefficients are defined for every day of the month, usually by interpolation. So, for each month, one should add the fixing for only one date (let's say the first day of the month) and then be able to retrieve the index value (interpolated or not) for all days.
>
> Reading the code, I found that InflationIndex manages that by specializing the Index::addFixing virtual method: the specialized version takes the fixing from its argument and replicates it for all days in the month. Then ZeroInflationIndex specializes Index::fixing to add the interpolation logic.
>
> The problem is that addFixing isn't the only way to add fixings. There are also two addFixings methods with different signatures (one retrieves fixings from a TimeSeries, the other from separate sequences of dates and values). As a matter of fact, those are the ONLY methods accessible from the QuantLibXL interface (via functions qlIndexAddFixings and qlIndexAddFixings2). So, basically, you can't manage fixings of inflation indices reasonably in QuantLibXL (you need replicate all fixings manually in your worksheet).
>
> The obvious solution would be to declare the two addFixings methods as virtual and specialize them as well. But unfortunately, one of the two is a template method, and C++ doesn't allow those to be virtual (because templates must be instantiated at compile time, but virtual function calls are only resolved at run time, thus the compiler can't know the template arguments in advance). Browsing Google search results I found there's a technique called "type erasure" that's supposed to work around that, but I don't know whether that could be dropped into the QuantLib code and what consequences it might have (in particular, I suspect that it could conflict with QuantLibAddin's type resolution scheme).
>
> However I believe there's another solution: to modify the ZeroInflationIndex::fixing method so that it only requires fixings on the first day of each month. Here's my proposed patch:
>
> --- inflationindex.cpp (revision 18491)
> +++ inflationindex.cpp (working copy)
> @@ -80,20 +80,19 @@
> Rate ZeroInflationIndex::fixing(const Date& aFixingDate,
> bool /*forecastTodaysFixing*/) const {
> if (!needsForecast(aFixingDate)) {
> + std::pair<Date,Date> lim = inflationPeriod(aFixingDate, frequency_);
> const TimeSeries<Real>& ts = timeSeries();
> - Real pastFixing = ts[aFixingDate];
> + Real pastFixing = ts[lim.first];
> QL_REQUIRE(pastFixing != Null<Real>(),
> - "Missing " << name() << " fixing for " << aFixingDate);
> + "Missing " << name() << " fixing for " << lim.first);
> Real theFixing = pastFixing;
> if (interpolated_) {
> - // fixings stored flat & for every day
> - std::pair<Date,Date> lim =
> - inflationPeriod(aFixingDate, frequency_);
> + // fixings stored on first day of every period
> if (aFixingDate == lim.first) {
> // we don't actually need the next fixing
> theFixing = pastFixing;
> } else {
> - Date fixingDate2 = aFixingDate + Period(frequency_);
> + Date fixingDate2 = lim.first + Period(frequency_);
> Real pastFixing2 = ts[fixingDate2];
> QL_REQUIRE(pastFixing2 != Null<Real>(),
> "Missing " << name() << " fixing for " << fixingDate2);
>
> There might be other methods that need a similar patching. I intend to look for them in the next days. But before doing that, I'd like to know whether you think that this is the right way to go.
>
> Thank you
> Gerardo
>
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